XOM Options History — June 2008

In June 2008, XOM traded between $84.91 and $89.31. ATM implied volatility averaged 26.2%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.7% (HV 20d: 26.9%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2008-06-05: Highest Volume — 132,938 contracts
2008-06-06: Largest IV spike — 23.9% change
2008-06-06: Highest IV Rank — 62.3%
2008-06-06: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.37	$84.91	$89.31	$87.81	$88.13
Max Pain	$85.95	$85.00	$90.00	$90.00	$85.00
ATM IV	26.2%	23.6%	29.3%	23.7%	24.2%
Expected Move	7.5%	6.8%	8.4%	6.8%	6.9%
HV 20d	26.9%	18.0%	30.5%	18.0%	30.5%
HV 60d	23.4%	22.2%	24.7%	24.3%	23.1%
IV Rank	43.2%	26.3%	62.3%	39.6%	26.6%
IV Percentile	47.7%	23.8%	77.8%	26.2%	23.8%
Term Structure	1.6%	0.3%	3.0%	1.5%	3.0%
VWIV	26.4%	24.1%	28.6%	24.1%	25.3%
Skew 25d	2.9%	0.8%	4.0%	1.1%	3.0%
Skew 10d	5.5%	0.5%	7.5%	2.5%	6.0%
Call IV 25d	25.3%	22.9%	27.8%	24.2%	23.9%
Put IV 25d	28.2%	25.3%	30.5%	25.3%	27.0%
Bid-Ask Spread %	2.99	1.64	6.41	2.91	2.66
Gamma HHI	0.21	0.16	0.64	0.19	0.19
Net GEX	20.6M	-203.0M	45.6M	28.1M	38.1M
Net DEX	-618.5M	-930.2M	-114.1M	-550.9M	-783.9M
Net VEX	-16.3M	-17.4M	-15.5M	-16.3M	-16.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.22	1.50	0.57	0.73
Total Volume	43,440.571	24,772	132,938	29,835	27,557
Total OI	1,093,350.571	1,018,725	1,140,284	1,047,842	1,084,430

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-06-02	$87.81	$90.00	23.7%	6.8%	18.0%	39.6%	24.1%	1.1%	1.5%	28.1M	-550.9M	-16.3M	0.57	2.91	18,986	10,849	583,508	464,334
2008-06-03	$85.71	$90.00	25.4%	7.3%	19.8%	46.7%	25.9%	0.8%	1.1%	14.0M	-182.5M	-15.8M	0.80	3.11	20,425	16,432	589,509	465,568
2008-06-04	$85.75	$90.00	25.1%	7.2%	19.6%	45.2%	25.0%	1.9%	1.4%	14.3M	-193.1M	-15.8M	0.86	1.94	27,535	23,681	594,526	467,630
2008-06-05	$89.31	$90.00	23.6%	6.8%	24.4%	39.4%	25.0%	3.2%	1.4%	42.9M	-886.0M	-16.6M	0.22	2.43	108,785	24,153	599,077	471,425
2008-06-06	$86.79	$85.00	29.3%	8.4%	26.0%	62.3%	28.4%	2.7%	0.3%	34.3M	-536.3M	-17.4M	0.77	6.41	39,748	30,431	661,312	478,972
2008-06-09	$89.07	$85.00	27.6%	7.8%	27.4%	55.3%	27.4%	3.5%	0.9%	43.2M	-930.2M	-17.1M	0.59	4.66	20,222	12,011	625,595	478,336
2008-06-10	$87.89	$85.00	27.5%	7.9%	27.8%	55.1%	27.7%	3.1%	1.0%	35.2M	-705.7M	-16.9M	0.59	2.75	23,988	14,095	631,809	479,757
2008-06-11	$88.61	$85.00	27.3%	7.9%	27.9%	54.3%	28.1%	3.0%	0.8%	43.1M	-913.9M	-17.0M	0.37	3.84	27,338	10,169	635,873	480,050
2008-06-12	$87.06	$85.00	29.1%	8.4%	28.5%	61.6%	28.6%	3.1%	0.7%	28.1M	-566.2M	-16.7M	0.48	4.56	32,370	15,485	636,730	482,366
2008-06-13	$88.36	$85.00	26.1%	7.5%	28.4%	39.4%	27.1%	3.1%	1.8%	39.5M	-818.6M	-16.9M	0.71	2.88	14,475	10,297	647,062	484,235
2008-06-16	$87.99	$85.00	26.1%	7.5%	27.8%	39.1%	26.6%	2.6%	1.6%	36.6M	-746.6M	-16.5M	0.64	2.53	18,340	11,706	647,201	486,221
2008-06-17	$88.62	$85.00	25.4%	7.3%	26.9%	35.9%	25.2%	2.9%	1.9%	45.6M	-878.6M	-16.4M	0.59	2.85	18,619	10,910	650,568	487,093
2008-06-18	$87.83	$85.00	26.3%	7.6%	26.9%	40.5%	26.7%	3.0%	1.3%	31.8M	-652.9M	-16.3M	0.53	2.05	18,255	9,613	650,136	485,943
2008-06-19	$85.79	$85.00	27.2%	7.8%	27.8%	44.8%	27.4%	2.8%	1.3%	2.1M	-259.1M	-15.7M	1.04	2.50	22,990	23,980	647,919	486,381
2008-06-20	$84.91	$85.00	27.0%	7.7%	27.7%	43.8%	27.0%	2.8%	1.4%	-203.0M	-114.1M	-15.5M	1.50	3.02	18,963	28,433	647,903	485,008
2008-06-23	$87.70	$85.00	24.6%	7.1%	29.9%	29.3%	25.3%	3.4%	2.9%	33.0M	-732.2M	-15.9M	0.45	1.64	30,338	13,512	572,446	446,279
2008-06-24	$86.92	$85.00	27.0%	7.7%	29.9%	41.3%	26.3%	3.3%	2.2%	29.7M	-616.1M	-15.9M	0.34	2.14	28,676	9,781	584,296	450,722
2008-06-25	$87.60	$85.00	24.0%	6.9%	29.9%	26.3%	25.2%	3.3%	2.7%	35.5M	-750.1M	-15.9M	0.72	2.55	31,513	22,596	596,230	454,232
2008-06-26	$86.41	$85.00	27.2%	7.8%	30.0%	42.3%	26.6%	4.0%	2.3%	28.2M	-537.0M	-16.0M	1.12	3.11	15,281	17,078	607,621	462,219
2008-06-27	$86.55	$85.00	26.6%	7.6%	30.0%	38.6%	25.7%	3.9%	3.0%	31.6M	-635.1M	-16.0M	0.63	2.25	20,045	12,591	607,621	462,219
2008-06-30	$88.13	$85.00	24.2%	6.9%	30.5%	26.6%	25.3%	3.0%	3.0%	38.1M	-783.9M	-16.0M	0.73	2.66	15,916	11,641	614,501	469,929